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Models.jl
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"""
serialise(o::Context)
Serialise model Context.
"""
serialise(o::Context) = serialise_struct(o)
"""
serialise(o::BenchmarkTimesScaling)
Serialise a BenchmarkTimesScaling enumeration object.
"""
function serialise(o::BenchmarkTimesScaling)
d = OrderedDict{String, Any}()
d["typename"] = string(typeof(o))
d["constructor"] = "BenchmarkTimesScaling"
d["enumeration"] = Integer(o)
return d
end
"""
serialise(o::GaussianHjmModel)
Serialise GaussianHjmModel.
"""
function serialise(o::GaussianHjmModel)
d = OrderedDict{String, Any}()
d["typename"] = string(typeof(o))
d["constructor"] = "gaussian_hjm_model"
d["alias"] = serialise(o.alias)
d["delta"] = serialise(o.delta)
d["chi"] = serialise(o.chi)
d["sigma_f"] = serialise(o.sigma_T.sigma_f)
if isnothing(o.correlation_holder)
d["correlation_holder"] = serialise(o.correlation_holder)
else
d["correlation_holder"] = serialise_key(o.correlation_holder.alias)
end
if isnothing(o.quanto_model)
d["quanto_model"] = serialise(o.quanto_model)
else
d["quanto_model"] = serialise_key(o.quanto_model.alias)
end
if o.scaling_type != _default_benchmark_time_scaling
d["scaling_type"] = serialise(o.scaling_type)
end
return d
end
"""
serialise(o::LognormalAssetModel)
Serialise LognormalAssetModel.
"""
function serialise(o::LognormalAssetModel)
d = OrderedDict{String, Any}()
d["typename"] = string(typeof(o))
d["constructor"] = "lognormal_asset_model"
d["alias"] = serialise(o.alias)
d["sigma_x"] = serialise(o.sigma_x)
d["correlation_holder"] = serialise_key(o.correlation_holder.alias)
if isnothing(o.quanto_model)
d["quanto_model"] = serialise(o.quanto_model)
else
d["quanto_model"] = serialise_key(o.quanto_model.alias)
end
return d
end
"""
serialise(o::CevAssetModel)
Serialise CevAssetModel.
"""
function serialise(o::CevAssetModel)
d = OrderedDict{String, Any}()
d["typename"] = string(typeof(o))
d["constructor"] = "cev_asset_model"
d["alias"] = serialise(o.alias)
d["sigma_x"] = serialise(o.sigma_x)
d["skew_x"] = serialise(o.skew_x)
d["correlation_holder"] = serialise_key(o.correlation_holder.alias)
if isnothing(o.quanto_model)
d["quanto_model"] = serialise(o.quanto_model)
else
d["quanto_model"] = serialise_key(o.quanto_model.alias)
end
return d
end
"""
serialise(o::SimpleModel)
Serialise SimpleModel.
"""
function serialise(o::SimpleModel)
d = OrderedDict{String, Any}()
d["typename"] = string(typeof(o))
d["constructor"] = "simple_model"
d["alias"] = serialise(o.alias)
d["models"] = serialise([ m for m in o.models ])
return d
end
"""
serialise_as_list(o::SimpleModel)
Serialise SimpleModel as a list and capture references.
"""
function serialise_as_list(o::SimpleModel)
obj_dict = OrderedDict{String, Any}()
function get_obj!(property_name)
for model in o.models
if hasproperty(model, property_name)
obj = getproperty(model, property_name)
if !isnothing(obj)
@assert hasproperty(obj, :alias)
obj_dict[obj.alias] = obj
end
end
end
end
#
get_obj!(:correlation_holder)
get_obj!(:quanto_model)
for model in o.models
obj_dict[model.alias] = model
end
dict_list = [ serialise(obj_dict[key]) for key in keys(obj_dict) ]
#
d = OrderedDict{String, Any}()
d["typename"] = string(typeof(o))
d["constructor"] = "simple_model"
d["alias"] = serialise(o.alias)
d["models"] = [ serialise_key(m.alias) for m in o.models ]
push!(dict_list, d)
return dict_list
end